Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 2 2 2
Score -3.95 -3.56 -3.35
Market Cap (Millions USD) 43689.8 43479.84 41622.38
Predicted Beta 1.74 1.79 1.81
Idiosyncratic Volatility 1.94 3.22 4.73

Annualized return and volatility

IWM
Annualized Return 0.0812
Annualized Std Dev 0.2289
Annualized Sharpe (Rf=0%) 0.3547

Row

Daily Return Statistics

IWM
Observations 5010.0000
NAs 104.0000
Minimum -0.1124
Quartile 1 -0.0068
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0081
Maximum 0.0864
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0144
Skewness -0.1508
Kurtosis 4.6255

Downside Risk

IWM
Semi Deviation 0.0104
Gain Deviation 0.0098
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0102
Downside Deviation (0%) 0.0102
Maximum Drawdown 0.5864
Historical VaR (95%) -0.0224
Historical ES (95%) -0.0330
Modified VaR (95%) -0.0226
Modified ES (95%) -0.0373
From Trough To Depth Length To Trough Recovery
2007-07-16 2009-03-09 2011-02-08 -0.5864 917 426 491
2000-07-18 2002-10-09 2003-10-13 -0.3867 828 568 260
2011-05-02 2011-10-03 2012-09-13 -0.2891 352 109 243
2018-09-04 2018-12-24 NA -0.2681 336 79 NA
2015-06-24 2016-02-11 2016-11-11 -0.2568 357 164 193

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWM
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 2.3 0.0 -0.7 0.8 0.0 0.1 2.2 0.0 4.8
2001 0.7 0.7 0.0 1.2 1.2 0.0 1.5 0.0 -0.5 1.8 0.0 0.0 6.8
2002 -0.6 2.5 0.1 0.7 0.0 -2.0 -1.5 0.0 3.2 2.3 0.0 0.0 4.7
2003 0.0 0.0 1.7 -0.1 0.0 0.7 -1.4 0.0 2.7 0.0 1.3 0.0 4.9
2004 0.0 1.6 1.1 0.0 1.0 -1.8 0.0 1.8 2.5 0.8 0.9 0.0 8.0
2005 0.6 0.8 -0.4 0.0 1.1 0.4 0.0 0.0 0.0 0.5 1.6 0.0 4.7
2006 1.0 1.8 0.0 -1.2 1.9 0.0 -1.6 0.1 0.0 -2.2 -0.4 0.0 -0.5
2007 1.1 -0.5 0.0 0.4 0.5 0.0 0.5 0.0 2.5 -3.9 0.0 0.0 0.5
2008 2.4 0.0 3.7 1.7 0.0 0.1 0.1 0.0 -1.4 0.0 -11.2 0.0 -5.4
2009 0.0 0.0 1.7 0.6 3.9 1.5 0.0 -2.2 -3.0 0.0 1.5 0.0 4.0
2010 1.2 2.3 0.9 0.0 -3.0 -0.7 0.0 3.9 0.5 -0.7 2.2 0.0 6.7
2011 2.3 -2.0 0.4 0.0 -3.2 1.6 -0.7 -2.1 0.0 -3.5 -0.7 0.0 -7.9
2012 2.2 0.5 0.0 0.1 -3.0 0.0 -1.6 0.0 0.3 1.1 0.0 0.0 -0.6
2013 0.9 0.5 -1.3 -2.4 0.0 1.6 1.4 0.0 1.2 -0.4 0.0 0.0 1.2
2014 0.0 0.0 1.3 0.0 0.0 1.0 -0.5 0.0 -1.4 0.0 -1.6 0.0 -1.2
2015 0.0 0.0 0.0 0.7 0.3 0.3 0.0 -2.9 -0.2 0.0 0.7 0.0 -1.1
2016 -0.5 2.2 0.4 0.0 0.7 0.4 0.1 0.1 0.0 -1.2 -0.5 0.0 1.6
2017 -0.1 1.8 0.0 0.6 1.9 0.0 0.2 0.6 0.0 -0.7 -0.4 0.0 4.0
2018 0.3 -0.3 0.0 0.5 0.7 0.0 -0.1 0.0 -1.3 2.3 0.0 0.0 2.1
2019 0.1 0.9 1.1 -0.9 0.0 0.4 -1.4 0.0 -2.0 1.7 0.0 0.2 0.0

Row

Rolling Performance Chart

Snail Trail Chart